The paper studies market models based on trajectory spaces, properties of such models are obtained without recourse to probabilistic assumptions. For a given European option, an interval of rational prices exists under a more general condition than the usual no-arbitrage requirement. The paper...

The paper addresses the problem of providing a framework and an algorithm to evaluate super and sub replicating prices, for European options, having interesting risk-reward characteristics. A general operational framework is put forward and illustrated by an algorithmic construction of...

The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to a price interval. The approach provides the trajectory based analogue of martingale-like properties as well as a generalization that allows a limited notion of arbitrage in the market while...

We develop a model of international portfolio choice in complete and incomplete markets with stochastic covariance between financial asset returns and exchange rates. The optimal investment strategies are derived in closed form. We estimate the model parameters and illustrate the optimal...

We consider a model for multivariate intertemporal portfolio choice in complete and incomplete markets with multi-factor stochastic covariance matrix of asset returns. The optimal investment strategies are derived in closed form. We estimate the model parameters and illustrate the optimal...

The problem of optimal portfolio choice is solved, in closed form, for an ambiguity averse investor who has access to stock and derivatives markets. The investor can have different levels of uncertainty about models for stock return and its stochastic volatility. Although both types of ambiguity...